Statistical Modeling in Finance Conference 2006 by P-EmeraldGroupPubl


This e-book contains papers from the 2006 Statistical Modelling in Finance conference. Using the historical hurricane forecasts of Dr. William M. Gray, the editorial identifies the problem of using “black-box” methods in catastrophe forecasting, and emphasises the value of independent peer review. In paper 2, the practical value of information provided by subordinated debt issues is challenged, and a multivariate dynamic risk signal that combines fluctuations in equity prices, subordinated debt and senior debt yields is proposed. Paper 3 develops and tests a mathematical method of deriving zero yield curve from market prices of government bonds, and applies this method to both nominal and CPI linked bonds traded in Israel. Paper 4 introduces a class of Fuzzy Random Coefficient volatility models and studies their moment properties. In paper 5, the kurtosis of stationary processes with GARCH errors is derived, and the problem of hypothesis testing for stationary ARMA(p, q) processes with GARCH errors is studied. The final paper tests the robustness of the fitness of nested GARCH models, using both Monte-Carlo simulation data and real-world data.

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